Smoothed jackknife empirical likelihood for the difference of two quantiles

Hanfang Yang and Yichuan Zhao ()
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Hanfang Yang: Renmin University of China
Yichuan Zhao: Georgia State University

Annals of the Institute of Statistical Mathematics, 2017, vol. 69, issue 5, No 6, 1059-1073

Abstract: Abstract In this paper, we propose a smoothed estimating equation for the difference of quantiles with two samples. Using the jackknife pseudo-sample technique for the estimating equation, we propose the jackknife empirical likelihood (JEL) ratio and establish the Wilk’s theorem. Due to avoiding estimating link variables, the simulation studies demonstrate that JEL method has computational efficiency compared with traditional normal approximation method. We carry out a simulation study in terms of coverage probability and average length of the proposed confidence intervals. A real data set is used to illustrate the JEL procedure.

Keywords: Difference of quantiles; Jackknife; Kernel smoothing; Two samples (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10463-016-0576-7

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